solve fractional fuzzy stochastic differential equation
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George Urumov
on 10 Jan 2023
Commented: George Urumov
on 23 Feb 2023
anyone knows how to create a model of fuzzy fractal Brownian motion when hurst parameter is NOT equal to 0.5 in Matlab.
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WEI-MIN SHEN
on 5 Feb 2023
Moved: Image Analyst
on 5 Feb 2023
1 deal with the stochastic process with either Volterra or Harmonizable representation
2 select any type of stochastic calculus to solve your SODE
3 (for numerical simulation) you may need to involve some special orthogonal series to approach
4 discretize the SODE and solve in either integral or differential form
Simply, the main different between Bm and fBm is the smoothness of the trajectory (we also interpret as the accelerate/decelerate regon which the particle jump into)
If you just want a quick, there is a inbuild function to generate fBm called "wfbm"
For any mistake/misunderstanding, feel free to correct me
wm
More Answers (1)
Image Analyst
on 10 Jan 2023
I don't know what that means but I have attached some random walk demos if you want those.
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Image Analyst
on 11 Jan 2023
I don't know what that means, but I don't need to. So, OK, good luck. Hopefully this gave you a good chunk of code to start with. Chances are that no one has such a very specific, esoteric program and if there is, they won't stumble across your question. So you'll have to finalize the code yourself. Again, have fun and good luck.
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